A note on options and bubbles under the CEV model : implications for pricing and hedging
José Carlos Dias, João Pedro Vidal Nunes, Aricson Cruz
| Year of publication: |
2020
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| Authors: | Dias, José Carlos ; Nunes, Joaõ Pedro Vidal ; Cruz, Aricson |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 23.2020, 3, p. 249-272
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| Subject: | Bubbles | CEV model | Greeks | Option pricing | Put-call parity | Local martingales | Spekulationsblase | Optionspreistheorie | Option pricing theory | Hedging | Volatilität | Volatility | Derivat | Derivative | Optionsgeschäft | Option trading | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-019-09164-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303226